$K$-Nearest-Neighbor Resampling for Off-Policy Evaluation in Stochastic Control

In reinforcement learning (RL), off-policy evaluation (OPE) deals with the problem of estimating the value of a target policy with observations generated from a different behavior policy. OPE methods are typically applied to sequential decision making problems where observational data is available but experimentation with the environment directly is not possible or costly. More broadly, OPE methods are a widely researched subject in RL (see, e.g., [60, 23, 58] for recent overviews), however, relatively little attention has been paid to stochastic environments where the stochasticity depends on the chosen actions and state and action spaces are continuous. For example, common benchmark problems are either deterministic or have finite state and/or action spaces (see, e.g., [60, 23]). Notwithstanding this, stochastic control problems are precisely concerned with the setting where a decision process affects random transitions. Stochastic control is a field closely related to reinforcement learning and its methods have been applied to a wide range of high-stakes decision-making problems in diverse fields such as operations research [24, 41], economics [31, 29], electrical engineering [44, 17], autonomous driving [62] and finance [15, 55]. In the stochastic control literature, optimal policies are often represented as deterministic feedback policies (i.e., as deterministic functions of the current state) and, in the episodic case, are non-stationary due to the impact of a finite time-horizon. Stochastic control environments pose a challenging setting for OPE methods. For example, classical methods like importance sampling (IS) [50] struggle with deterministic target policies in continuous action spaces due to the severe policy mismatch between the target and the behavior policy (see, e.g.